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FREQUENTLY ASKED QUESTIONS
We welcome both general and technical questions concerning our databases.
If your questions are not answered here, please forward your inquiry to us using our convenient
e-mail form.
Data Integrity
We exert a great deal of effort to ensure the
quality and cleanliness of our data. We have this concern with data quality because our
first priority is the use of the data in our own research. We have painstakingly
assembled these datasets by hand over more than 15 years, and we use them with
confidence. You can too.
Market Calendar
A problem faced when assembling historical data across the many financial markets
is that the stock, bond, and foreign exchange markets do not observe
the same holidays. Because our research focuses on
the equity markets, all of our datasets are based on
the equity market trading calendar.
When the stock market is closed, the datasets have no
observations. When the stock market is open but the bond market or foreign exchange
market is closed, we
reuse the prior trading day's interest rates or exchange rates.
Data Updates
Both weekly and daily databases are updated by the end of the
following week, depending upon holidays or delays in data being released to
us. Substantial revisions of historical series are made a few times each
year and may delay the release of updates. Monthly databases are updated periodically throughout the
month.
Data File Formats
We can provide data
in most any major format - ASCII, Comma-Separated-Values, Excel, Lotus 1-2-3, or MS Access.
Please let us know if you require a special layout or format.
Long-Term Treasury Series
A widely accepted historical series
of long-term Treasury bond yields does not exist. A quality index must be
assembled from the various long-term Treasury rates available over time. We consider our long-term
Treasury rate index to be the best option available for a continuous long-term
series. We use the Treasury Constant Maturity 20-Year T-Bond Yield until
February 1977, and then switch to the newly available 30-Year Treasury Constant Maturity
Yield. The yield curve was flat at the 20-30 year maturity range at the splice
date. As the Federal Reserve discontinued the 30-Year Yield in February 2002, the long-term series was switched to
the new Treasury long-term average (25 years and above) Yield. In June 2004, the long-term series was switched to the 20-Year
Treasury Constant Maturity series.
Treasury Bill Quotes
All Treasury Bill yields, including auction rates are quoted on a
discount basis, not the bond equivalent yield.
Dividend Series
Quality historical dividend data
is very difficult to find. We have assembled a dividend series that is well
suited for modeling applications. It uses quarterly dividend payments on
the S&P 500 from 1950 to Nov. 1988, monthly dividends from Dec. 1988
to Jan. 1993, and weekly dividends from Jan. 1993 to the present.
Availability of Other Data and pre-1950 Data
Many of our data series
are available prior to 1950 - e.g. we have the weekly S&P 500 stock price
index back to 1926 when it was first reported on a weekly basis.
Please e-mail us if you are seeking pre-1950 data or other series
not listed on our website. We maintain a large historical database for research purposes.
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